A uniqueness theorem for the martingale problem describing a diffusion in media with membranes
Probability
2009-04-28 v1
Abstract
We formulate a martingale problem that describes a diffusion process in a multidimensional Euclidean space with a membrane located on a given smooth surface and having the properties of skewing and delaying. The theorem on the existence of no more than one solution to the problem is proved.
Cite
@article{arxiv.0904.4223,
title = {A uniqueness theorem for the martingale problem describing a diffusion in media with membranes},
author = {Olga V. Aryasova and Mykola I. Portenko},
journal= {arXiv preprint arXiv:0904.4223},
year = {2009}
}